I trying to do demo lab for AAD, however launching sandbox doesn’t give access to AAD?
That’s normal. "Cloud Sandbox" is basically a cloud environment that was set up using cloud subscription owned by ACG (an Azure subscription owned by ACG in this particular case). When you open Azure Active Directory, you’re trying to access the identity management section of the subscription owned by ACG and it’s hardly allowed in any circumstance.
Technically, it’s very hard for ACG at the moment (if not saying not possible) to create a lab environment that allows you to tinker with AAD.
So I would recommend you to set up your own account solely for the purpose of practicing labs with AAD, because you own everything and you can do everything on your account by that way.